(This will sound sketchy b/c I have limited info, but stick with me) This morning, I saw an interview on Bloomberg TV with a money manager who said that yesterday, the S&Ps spiked when a "mid-sized fund" that had shorted the E-Minis blew up, incurring massive losses and having to buy back its position. If you look at the volume from yesterday, you'll see that between 2:42 NYTime and 2:47 NYTime, more than 100K eminis traded. Since then I've been expecting to hear about a fund having problems and suffering massive losses. Have any of you heard anything more about it?
That's about when 1390 was crossed. Apparently this was the "max pain" point of a "10-figure fund". The OP of this thread *may* have some info on what happened! http://www.elitetrader.com/vb/showthread.php?threadid=79898